Listen to Robert Emmerich introduce "The Big Apple," a hit song from 1937. Music written by Bob and performed by Tommy Dorsey's Clambake Seven with Bob on piano. Lyrics written by Buddy Bernier and sung by Edythe Wright. Audio provided by Dorothy Emmerich.

"Picking up pennies/nickels/dimes/quarters in front of a bulldozer/steamroller” means steadily making investments for a small return, only to be eventually crushed (by a financial crash or a “steamroller"). The saying “picking up pennies in front of a steamroller” has frequently been credited to Nassim Nicholas Taleb’s book The Black Swan (2007) and associated with the “Taleb distribution,” but the saying predates the book.

The expression was printed in the Wall Street Journal on February 8, 1988:

“‘It’s like picking up dimes in front of a bulldozer,’ says a CRT (Chicago Research and Trading Group Ltd.—ed.) trader. ‘You can make a lot of money, but you have to keep your eye on the bulldozer.’”

“Picking up pennies in front of a steamroller” has been cited in print since at least 1998, “picking up dimes in front of a steamroller” has been cited in print since at least 1999 and “picking up nickels in front of a steamroller” has been cited in print since at least 2002. The nickel ("picking up nickels in front of a steamroller") has become most frequently used in the saying, over the other coins.

Wikipedia: Taleb distribution
In economics and finance, a Taleb distribution is a term coined by U.K. economists/journalists Martin Wolf and John Kay to describe a returns profile that appears at times deceptively low-risk with steady returns, but experiences periodically catastrophic drawdowns. It does not describe a statistical probability distribution, and does not have an associated mathematical formula. The term is meant to refer to an investment returns profile in which there is a high probability of a small gain, and a small probability of a very large loss, which more than outweighs the gains. In these situations the expected value is (very much) less than zero, but this fact is camouflaged by the appearance of low risk and steady returns. It is a combination of kurtosis risk and skewness risk: overall returns are dominated by extreme events (kurtosis), which are to the downside (skew). The corresponding situation is also known as the peso problem.
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Risky strategy
If done consciously, with one’s own capital or openly disclosed to investors, this is a risky strategy, but appeals to some: one will want to exit the trade before the rare event happens. This occurs for instance in a speculative bubble, where one purchases an asset in the expectation that it will likely go up, but may plummet, and hopes to sell the asset before the bubble bursts.

This has also been referred to as “picking up pennies in front of a steamroller”.

8 February 1988, Wall Street Journal (New York, NY), “Money Machine: Little-Known Firm Has Become the Envy Of Options Industry --- Relying on Chairman’s Math Chicago Research Moves Beyond Program Trading --- Behemoth, Bulldozer & Ballet” by Scott McMurray, pg. 1:
“It’s like picking up dimes in front of a bulldozer,” says a CRT (Chicago Research and Trading Group Ltd.—ed.) trader. “You can make a lot of money, but you have to keep your eye on the bulldozer.”

18 March 1993, Chicago (IL) Tribune, “$225 million CRT deal NationsBank to gain presence in trading” by William B. Crawford Jr. and Sharon Stangenes, pg. 1:
“Our business has been characterized in the past as picking up dimes in front of a bulldozer,” Ritchie said. “In recent years the dimes have turned into nickels and pennies.”
(CRT President Joseph J. Ritchie. “CRT” stands for Chicago Research and Trading Group Ltd., a well-regarded options and trading firm.—ed.)

October 1994, Institutional Investor, “The culture catch at CRT” by Scott McMurray, pg. 206:
At the time CRT announced its sale to NationsBank, Ritchie remarked: “Someone once described our business as picking up dimes in front of a bulldozer. Well, the dimes are now nickels and pennies.”

Google BooksForbes
Volume 162, Issues 1-4
1998
Pg. 90:
“We are afraid that in the future, making money in the auto insurance business will be like picking up pennies in front of a steamroller — dangerous and not significantly rewarding,” they wrote in Leucadia’s annual report.

Google BooksMicrosoft rising ... and other tales of Silicon Valley
By Theodore Gyle Lewis
Los Alamitos, CA: IEEE Computer Society
1999
Pg. 78:
There are many in industry who still agree with former Apple exec Jean Louis Gassee’s description of doing a deal with Microsoft, “partnering with Microsoft is like picking up dimes in front of a steamroller.” You pick up a little change in the short term, but you’re going to get squashed sooner than later.

Google BooksExtreme Investor:
Intelligent information from the edge
By Randy Rodman with Don Logay
Irvine, CA: Entrepreneur Press
2000
Pg. ?:
Someone once said that front-running program trades is like picking up dimes in front of a steamroller.

Elite Trader
Posted by Pabst on 07-27-02 02:19 AM:
Re: Crash of 1987…
“Selling premium is like picking up nickels in front of a steamroller”
Joe Ritchie
CRT (The world’s dominant option’s MM’s during the 80’s)

Google BooksTrading and Exchanges:
Market microstructure for practitioners
By Larry Harris
New York, NY: Oxford University Press
2003
Pg. 293:
Dealing and Steamrollers
High-frequency dealing is a bit like picking up pennies in front of a steamroller. Sometimes you get in and out quickly, and profit a little. Sometimes you miss an opportunity or you pass because you have no safe opportunity. However, if you are not very careful, you get caught and lose everything!

Google BooksHedge Funds for Dummies
By Ann C. Logue
Hoboken, NJ: Wiley
2006
Pg. 180:
This is why some folks describe scalping as “picking up nickels in front of a steamroller.”

The Motley FoolAmerican Capital: The Private-Equity Steamroller
By Stephen Ellis
February 16, 2007
To quote Jerry Lee Lewis, “Great balls of fire!” This was one smokin’ hot quarter for American Capital Strategies (Nasdaq: ACAS ) , and the steamroller isn’t letting up anytime soon. The middle-market lender and alternative-asset manager is forecasting a strong 2007, no doubt leaving Income Investor subscribers dancing in the streets. Far from picking up nickels in front of a steamroller, these investors are in the driver’s seat.

MoneyWeekWhy is the carry trade so dangerous?
By Cris Sholto Heaton
Aug 24, 2007
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But the counterpoint to these small, steady returns is the possibility of a very large, very sudden loss. The biggest risk is generally that the exchange rate moves against you – the higher-interest rate currency rapidly devalues, reducing the value of your assets relative to your borrowing. That’s why these trades are often described as “picking up nickels in front of a steamroller”

The Motley FoolLeveraging Trouble
By Morgan Housel
October 3, 2007
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Those who insisted on leveraging a slim-profit game ended up losing control over what little edge they had, and they ended up turning a once lucrative investment strategy into no less than picking up pennies in front of a steamroller.

New York (NY) TimesVW, a laughing stock
Published: Tuesday, October 28, 2008
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But VW’s limited free float made that a risky bet - akin to picking up pennies in front of a steamroller.

Google BooksTrading Regime Analysis:
The probability of volatility
By Murray Gunn
Hoboken, NJ: Wiley
2009
Pg. 329:
The analogy that people like to use with regard to option sellers, and indeed any strategy that sells volatility, is that it is “like picking up pennies in front of a steamroller”. Most of the time you will pick up the pennies with no problem at all, but take your mind off the job at hand and not manage your risk appropriately then SPLAT, you get flattened.

MidasLetterHow the Banks Captured the Government
Simon Johnson
The Atlantic
Wednesday, April 22, 2009
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Regulators, legislators, and academics almost all assumed that the managers of these banks knew what they were doing. In retrospect, they didn’t. AIG’s Financial Products division, for instance, made $2.5 billion in pretax profits in 2005, largely by selling underpriced insurance on complex, poorly understood securities. Often described as “picking up nickels in front of a steamroller,” this strategy is profitable in ordinary years, and catastrophic in bad ones.

Google BooksThe Little Book of Big Dividends:
A Safe Formula for Guaranteed Returns
By Charles B. Carlson
Hoboken, NJ: Wiley
2010
Pg. 84:
Wall Streeters have an expression for this investor mentality. They call it “picking up nickels in front of a steamroller.” You can make a few extra bucks, but if something goes wrong, you will be crushed.

New York (NY) TimesThe State of Conservatism
By CHRISTOPHER CALDWELL
Published: October 21, 2010
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The expression “picking up nickels in front of a steamroller” has been used to describe a lot of the gambles taken by A.I.G. and other companies on the eve of the financial crisis. It describes the president’s agenda equally well.

InvestorPlaceFinding Spare Change in Bond ETF Option
Trader risks steamroller crush to pick up a dime of premium
May 19, 2011, 10:38 am EDT | By Chris McKhann, optionMONSTER
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The position collects the $0.10 premium but risks much more if the TLT continues to fall sharply. The probability of that happening is low, but it is the reason that some call this type of strategy “picking up nickels in front of a steamroller.”